It is challenging to set up OpenVPN on Whonix with a secure, leak preventing Fail Closed Mechanism. For this reason, it is strongly recommended to learn how to set up OpenVPN on Debian stable (currently jessie). The following steps are a simple overview of the process:
- Prepare a Debian stable VM.
- Install the Debian OpenVPN package: sudo apt-get install openvpn
- Research how to set up a VPN using OpenVPN on the command line. 
- Search for help with general VPN setup in the #VPN Setup chapter or on the TestVPN page. Help is available from various sources, and the VPN provider may also be of assistance.
Whonix 12 users may recall the variable VPN_SERVERS; it has been abolished for better security. 
- Only proceed if this is successful. Do not post support requests regarding these instructions before completing this basic exercise.